What help does goosebumps do to us? I don't think it helps us noticeably when we are scared or shivering.
As a general rule, you might want to check wikipedia before posting here. On the other hand, I am glad you made me look the answer up.
Goose-bumps warm you up a little. "During the formation of goose bumps, the body is warmed from the muscle tension in piloerection."
There are other reasons, which do not directly serve humans, but may be a remnant from evolution. In animals with fur, the erected hair makes thicker insulation and further protection from cold. "Goose bumps can also be a response to anger or fear: the erect hairs make the animal appear larger, in order to intimidate enemies."
More on wikipedia: http://en.wikipedia.org/wiki/Goose_bumps
Hairs (with their nerve rich follicles) are sense organs, extending our sense of touch beyond the skin. When things disturb our hairs we feel them; bugs, breezes, close encounters. During fright or arousal goosebumps cause the hairs to stand on end, extending our sense of touch to it's furthest distance. In the process the hair shafts that are otherwise laid against each other are separated, reducing the dampening of vibration and movement from shaft to follicle - which increases fine sensitivity. Also during goosebumps the smallest disturbance of hairs causes a reaction in surrounding hairs, amplifying distinguishable sensations into hard to ignore. Goosebumps are sensory enhancers.
This goosbumps response predated hairs as fur for insulation and probably mammals as a group. Raising fur to increase insulation, as well as raising hackles to look intimidating almost certainly piggy backed on this pre-existing response. It is a function that has never been lost and should not be considered vestigial.
"The formation of goose bumps in humans under stress is a vestigial reflex; a possible function in human evolutionary ancestors was to raise the body's hair, making the ancestor appear larger and scaring off predators. Raising the hair is also used to trap an extra layer of air, keeping an animal warm. Due to the diminished amount of hair in humans, the reflex formation of goose bumps when cold is also vestigial."
This is from the wikipedia article on human vestigiality under Behavioural category.